<p>
  In this tutorial, we will develop a strategy based on the price and earnings momentum effect of stocks. This strategy is derived from the paper <a target=_BLANK href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=299107"> "Momentum"</a> by N.Jegadeesh and S.Titman.
</p>

<p>
  N.Jegadeesh et al. describe price/return momentum as a tendency for stocks that perform well over a three to twelve month period to continue to perform well over a subsequent three to twelve month period. Similarly, stocks that perform poorly over a three to twelve month period have a tendency to continue to perform poorly. They describe earnings momentum as the tendency for stocks with high earnings per share (EPS) to continue to outperform stocks with low EPS.
</p>

<p>
  Below, we will implement a quarterly-rebalanced stock strategy based on the price and earnings momentum.
</p>
